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Time-Varying Parameters in the Almost Ideal Demand System and the Rotterdam Model: Will the Best Specication Please Stand Up?
Barnett, William; Kalonda-Kanyama, Isaac - Department of Economics, University of Kansas - 2012
This paper assesses the ability of the Rotterdam model and of three versions of the almost ideal demand system (AIDS … simulations, we find that the Rotterdam model performs better than the linear-approximate AIDs at recovering the signs of all the … elasticities, even when the true values are very high. The linear-approximate AIDS, not only performs poorly at recovering the time …
Persistent link: https://www.econbiz.de/10009493316
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Time-Varying Parameter in the Almost Ideal Demand System and the Rotterdam Model: Will the Best Specification Please Stand Up?
Barnett, William A.; Kalonda-Kanyama, Isaac - Economic Research Southern Africa (ERSA) - 2013
This paper assesses the ability of the Rotterdam model and of three versions of the almost ideal demand system (AIDS … simulations, we nd that the Rotterdam model performs better than the linear-approximate AIDS at recovering the signs of all the … elasticities, even when the true values are very high. The linear-approximate AIDS, not only performs poorly at recovering the time …
Persistent link: https://www.econbiz.de/10010633074
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Residual-based tests for fractional cointegration : a Monte Carlo study
Dittmann, Ingolf - 1998
This paper reports on an extensive Monte Carlo study of seven residual-based tests of the hypothesis of no cointegration. Critical values and the power of the tests under the alternative of fractional cointegration are simulated and compared. It turns out that the Phillips-Perron t-test when...
Persistent link: https://www.econbiz.de/10010467702
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Testing for parameter restrictions in a stationary VAR model : a bootstrap alternative
Kim, Jae H. - In: Economic modelling 41 (2014), pp. 267-273
Persistent link: https://www.econbiz.de/10010438337
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Testing for the equality of integration orders of multiple series
Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10
Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in...
Persistent link: https://www.econbiz.de/10011650498
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Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?
Barnett, William A.; Kalonda-Kanyama, Isaac - Volkswirtschaftliche Fakultät, … - 2012
demand system (AIDS) to recover the time-varying elasticities of a true demand system and to satisfy theoretical regularity … high. The linear-approximate AIDS, not only performs poorly at recovering the time-varying elasticities but also badly … approximates the nonlinear AIDS. …
Persistent link: https://www.econbiz.de/10009647232
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Estimating demand for differentiated products with error in market shares
Gandhi, Amit; Lu, Zhentong; Shi, Xiaoxia - 2013
In this paper we introduce a new approach to estimating a differentiated product demand system that allows for error in market shares as measures of choice probabilities. In particular, our approach allows for products with zero sales in the data, which is a frequent phenomenon that arises in...
Persistent link: https://www.econbiz.de/10009707190
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Monte Carlo experiments and consumer demand modelling
Seck, Ousmane - 2006
Persistent link: https://www.econbiz.de/10009248628
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Estimating demand for differentiated products with zeroes in market share data
Gandhi, Amit; Lu, Zhentong; Shi, Xiaoxia - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 341-418
In this paper, we introduce a new approach to estimating differentiated product demand systems that allows for products with zero sales in the data. Zeroes in demand are a common problem in differentiated product markets, but fall outside the scope of existing demand estimation techniques. We...
Persistent link: https://www.econbiz.de/10014308562
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Estimation of coherent demand systems with many binding non-negativity constraints
Pitt, Mark Martin; Millimet, Daniel L. - 1999
Two econometric issues arise in the estimation of complete systems of producer or consumer demands when many non-negativity constraints are binding for a large share of observations, as frequently occurs with micro-level data. The first is computational. The econometric model is essentially an...
Persistent link: https://www.econbiz.de/10011503892